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<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 
<a name="l00002"></a>00002 <span class="keyword">def </span>parse_options():
<a name="l00003"></a>00003   <span class="keyword">from</span> optparse <span class="keyword">import</span> OptionParser
<a name="l00004"></a>00004 
<a name="l00005"></a>00005   parser = OptionParser()
<a name="l00006"></a>00006 
<a name="l00007"></a>00007   parser.add_option(<span class="stringliteral">&quot;-r&quot;</span>, <span class="stringliteral">&quot;--interest&quot;</span>, dest=<span class="stringliteral">&quot;</span><span class="stringliteral">r&quot;, default=&quot;</span>0.10&quot;,
<a name="l00008"></a>00008                     help=<span class="stringliteral">&quot;interest rate [default: %default]&quot;</span>)
<a name="l00009"></a>00009   parser.add_option(<span class="stringliteral">&quot;-v&quot;</span>, <span class="stringliteral">&quot;--volatility&quot;</span>, dest=<span class="stringliteral">&quot;sigma&quot;</span>, default=<span class="stringliteral">&quot;0.40&quot;</span>,
<a name="l00010"></a>00010                     help=<span class="stringliteral">&quot;volatility [default: %default]&quot;</span>)
<a name="l00011"></a>00011   
<a name="l00012"></a>00012   parser.add_option(<span class="stringliteral">&quot;-K&quot;</span>, <span class="stringliteral">&quot;--strike&quot;</span>, dest=<span class="stringliteral">&quot;K&quot;</span>, default=<span class="stringliteral">&quot;50.00&quot;</span>,
<a name="l00013"></a>00013                     help=<span class="stringliteral">&quot;strike price [default: %default]&quot;</span>)
<a name="l00014"></a>00014   parser.add_option(<span class="stringliteral">&quot;-T&quot;</span>, <span class="stringliteral">&quot;--maturity&quot;</span>, dest=<span class="stringliteral">&quot;T&quot;</span>, default=<span class="stringliteral">&quot;0.5&quot;</span>,
<a name="l00015"></a>00015                     help=<span class="stringliteral">&quot;maturity time [default: %default]&quot;</span>)
<a name="l00016"></a>00016   parser.add_option(<span class="stringliteral">&quot;-B&quot;</span>, <span class="stringliteral">&quot;--bound&quot;</span>, dest=<span class="stringliteral">&quot;B&quot;</span>, default=<span class="stringliteral">&quot;100.00&quot;</span>,
<a name="l00017"></a>00017                     help=<span class="stringliteral">&quot;upper bound on stock price [default: %default]&quot;</span>)
<a name="l00018"></a>00018 
<a name="l00019"></a>00019   parser.add_option(<span class="stringliteral">&quot;-m&quot;</span>, <span class="stringliteral">&quot;--time-steps&quot;</span>, dest=<span class="stringliteral">&quot;m&quot;</span>, default=<span class="stringliteral">&quot;100&quot;</span>,
<a name="l00020"></a>00020                     help=<span class="stringliteral">&quot;number of time steps [default: %default]&quot;</span>)
<a name="l00021"></a>00021   parser.add_option(<span class="stringliteral">&quot;-n&quot;</span>, <span class="stringliteral">&quot;--space-steps&quot;</span>, dest=<span class="stringliteral">&quot;n&quot;</span>, default=<span class="stringliteral">&quot;200&quot;</span>,
<a name="l00022"></a>00022                     help=<span class="stringliteral">&quot;number of steps in stock-price space [default: %default]&quot;</span>)
<a name="l00023"></a>00023   parser.add_option(<span class="stringliteral">&quot;--dt&quot;</span>, dest=<span class="stringliteral">&quot;dt&quot;</span>, help=<span class="stringliteral">&quot;time step size&quot;</span>)
<a name="l00024"></a>00024   parser.add_option(<span class="stringliteral">&quot;--dx&quot;</span>, dest=<span class="stringliteral">&quot;dx&quot;</span>, help=<span class="stringliteral">&quot;stock-price step size&quot;</span>)
<a name="l00025"></a>00025   parser.add_option(<span class="stringliteral">&quot;--method&quot;</span>, dest=<span class="stringliteral">&quot;method&quot;</span>, help=<span class="stringliteral">&quot;finite-difference method&quot;</span>)
<a name="l00026"></a>00026 
<a name="l00027"></a>00027   parser.add_option(<span class="stringliteral">&quot;-C&quot;</span>, <span class="stringliteral">&quot;--call&quot;</span>, dest=<span class="stringliteral">&quot;is_call&quot;</span>, action=<span class="stringliteral">&quot;store_true&quot;</span>, 
<a name="l00028"></a>00028                     help=<span class="stringliteral">&quot;value a European-style call option&quot;</span>)
<a name="l00029"></a>00029   parser.add_option(<span class="stringliteral">&quot;-P&quot;</span>, <span class="stringliteral">&quot;--put&quot;</span>, dest=<span class="stringliteral">&quot;is_put&quot;</span>, action=<span class="stringliteral">&quot;store_true&quot;</span>, 
<a name="l00030"></a>00030                     help=<span class="stringliteral">&quot;value a European-style put option&quot;</span>)
<a name="l00031"></a>00031   parser.add_option(<span class="stringliteral">&quot;--barrier&quot;</span>, dest=<span class="stringliteral">&quot;barrier&quot;</span>,
<a name="l00032"></a>00032                     help=<span class="stringliteral">&quot;value a barrier option&quot;</span>)
<a name="l00033"></a>00033 
<a name="l00034"></a>00034   parser.add_option(<span class="stringliteral">&quot;--plot&quot;</span>, dest=<span class="stringliteral">&quot;plot&quot;</span>, action=<span class="stringliteral">&quot;store_true&quot;</span>, 
<a name="l00035"></a>00035                     help=<span class="stringliteral">&quot;plot results&quot;</span>)
<a name="l00036"></a>00036   parser.add_option(<span class="stringliteral">&quot;--save-plot&quot;</span>, dest=<span class="stringliteral">&quot;save_plot&quot;</span>, action=<span class="stringliteral">&quot;store_true&quot;</span>,
<a name="l00037"></a>00037                     help=<span class="stringliteral">&quot;save plots to EPS files&quot;</span>)
<a name="l00038"></a>00038 
<a name="l00039"></a>00039   (options, args) = parser.parse_args()
<a name="l00040"></a>00040   <span class="keywordflow">return</span> options
<a name="l00041"></a>00041 
<a name="l00042"></a>00042 
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